Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0868
Annualized Std Dev 0.2471
Annualized Sharpe (Rf=0%) 0.3514

Row

Daily Return Statistics

Close
Observations 3351.0000
NAs 1.0000
Minimum -0.1566
Quartile 1 -0.0061
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0076
Maximum 0.1293
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0156
Skewness -0.3999
Kurtosis 10.6363

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0109
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6566
Historical VaR (95%) -0.0235
Historical ES (95%) -0.0381
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0437
From Trough To Depth Length To Trough Recovery
2007-07-10 2009-03-09 2011-02-09 -0.6566 799 315 484
2020-02-20 2020-03-18 2020-11-16 -0.4954 189 20 169
2011-07-08 2011-10-03 2012-03-13 -0.2403 172 61 111
2018-01-25 2018-12-24 2019-12-19 -0.2291 480 231 249
2015-03-23 2016-02-11 2017-09-12 -0.2086 625 226 399

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.1 0.2 -1.3 0.6 -0.4 -1 3.6 -0.9 0.9
2008 4.6 -3.2 3.9 2.1 0 -1.1 0.4 -0.3 0.2 4.3 -4.6 3.8 10
2009 -4 -3.5 1.2 -0.9 5.5 1.8 0.7 -2.6 -3.5 -2.6 1.7 -1.1 -7.4
2010 1.3 2.2 0.9 -2.6 -2.5 1 0.8 3.7 0.1 -0.2 1.8 -0.4 6
2011 1.3 -1.6 0.8 0.4 -2.4 1.8 -0.4 -1.7 -3.3 -2.2 -0.1 -0.6 -7.8
2012 1.5 0.8 0.1 0.5 -3.5 2.5 -0.8 0.4 0.3 1.9 0 2.1 5.8
2013 0.7 0.1 -1.1 -0.7 -0.5 1.3 1.7 -0.8 1.2 0 0 0.4 2.2
2014 -0.4 -0.2 1.6 0.6 0.2 0.9 -0.2 0 -1.6 0.8 -1.3 -0.4 -0.2
2015 -1.9 0.1 -0.3 1.4 0.3 0.9 0.4 -2.6 0.1 0.2 0.9 -0.8 -1.6
2016 0.5 2.1 0.2 -0.6 0.3 0.8 -0.2 0 1 -1 0.1 -0.6 2.6
2017 -0.5 0.7 -0.2 0 1.6 0.4 0.3 0.8 0.2 0.4 0 -0.7 3
2018 -0.2 -0.9 1.4 -0.1 1 -0.2 -1.2 0.6 -0.6 1.8 0 0.7 2.2
2019 -0.1 0.7 1.1 -0.9 -1.3 0.4 -2.3 -0.3 -1.1 1 -0.8 0.2 -3.7
2020 -2.2 -0.5 -6.7 -4.8 2.6 0 -0.5 1.3 2 -1.6 1.3 -0.5 -9.6
2021 1.8 3 1.2 NA NA NA NA NA NA NA NA NA 6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-10  20.0 SPY    150. -1.05e-2 -0.0051    0.0386   0.0314    0.128    0.360    0.372 GLD    66   -2.15e-2 -0.0221 
2 2007-05-15  19.8 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  3.90e-3 -0.0197 
3 2007-05-22  20.3 SPY    152. -8.00e-4  0.0123    0.0294   0.0441    0.199    0.395    0.389 GLD    65.2 -6.90e-3 -0.0198 
4 2007-05-24  20.1 SPY    151. -9.10e-3 -0.0016    0.0106   0.0396    0.207    0.376    0.387 GLD    64.8 -1.21e-2 -0.00480
5 2007-05-29  20.1 SPY    152.  3.60e-3 -0.002     0.0181   0.0913    0.192    0.361    0.401 GLD    65.1  2.00e-3 -0.0091 
6 2007-06-06  20.3 SPY    152. -1.07e-2 -0.0107    0.0059   0.088     0.194    0.355    0.451 GLD    66.4  6.00e-4  0.0261 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart